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Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality

Published online by Cambridge University Press:  11 February 2009

Brian J. Eastwood  and
A. Ronald Gallant
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Abstract

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite expansion with an ARCH leading term is used as the conditional density of the process. The method of maximum likelihood is used to fit it to data.

Type
Research Article
Information
Econometric Theory , Volume 7 , Issue 3 , September 1991 , pp. 307 - 340
Copyright
Copyright © Cambridge University Press 1991

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